H4 status extension missed

I am on H1 and visa expires by sept’30 and applied for extension and received receipt but forget to apply h4 extension for my wife and kid and recently moved to new location for new assignment where amendment was planned to apply and noticed this issue… So my employer applied for premium for h1b and i got approval for the same 2 days ago… now applying for extension of h4 (I539) … it is been 45 days they are with out valid visa - i am really worried - also for h4 no premium processing . since i have moved to new location for new assignment - took leasing of apartment and my kid education applied for schooling district… What to do … kindly suggest - do they really need to go India and get stamped their visa there and come or they can continue here ? by doing so will they face any other issues when they go back india and come back to USA again… Kindly suggest -

File H4 NPT application with USCIS to request i94 from back date. Or leave US and Get H4 visa stamp with entry ban waiver from US embassy